We argue that the alpha obtained from an asset-pricing model naturally captures the misspecifications in this model. We use this insight to provide a practical way to adjust a misspecified pricing model. We find that (unlike the market beta) the CAPM alpha pervasively predicts the cross-section...

This paper provides an up-to-date survey of the main theoretical developments in ACD modeling and empirical studies using financial data. First, we discuss the properties of the standard ACD specification and its extensions, existing diagnostic tests, and joint models for the arrival times of...

The objective of this paper is to investigate the use of tick-by-tick data for market risk measurement. We propose an Intraday Value at Risk (IVaR) at different horizons based on irregularly time-spaced high-frequency data by using an intraday Monte Carlo simulation. An UHF-GARCH model extending...